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VIX-VIXEQ Regime Detector
The VIX-VIXEQ Regime Detector is an market structure indicator that compares the CBOE Volatility Index (VIX) with the CBOE S&P 500 Equal Weight Volatility Index (VIXEQ) to identify distinct market volatility regimes.
It analyses the relationship between index-level and constituent-level volatility, and helps investors to detect regime changes that often precede major market moves.
Credits: Idea suggested by m_chromatic Thanks a lot!
What It Measures
When VIXEQ rises faster than VIX (ratio > 1.0), it indicates that constituent stocks are experiencing higher volatility than the index itself. This divergence often signals:
Five Market Regimes in the Indicator
The indicator uses adaptive thresholds based on rolling statistics to classify markets into five distinct regimes:
🔵 CONCENTRATION (Ratio < threshold): Mega-cap dominance, Low dispersion, Healthy market structure
🟢 NORMAL (Ratio near mean): Balanced volatility, Healthy market conditions, Standard risk environment
🟡 ELEVATED (Ratio moderately above mean), Early warning signal, Rising constituent stress, Watch for deterioration
🟠 DISPERSION (Ratio significantly above mean), Broad market stress, Elevated constituent volatility, Defensive positioning warranted
🔴 SYSTEMIC (Ratio > 1.5σ above mean), Crisis conditions, Extreme constituent stress, High mean reversion potential
The indicator includes z-score calculations to measure how extreme the current spread is relative to historical norms.
Recommended Timeframe
Technical Notes
It analyses the relationship between index-level and constituent-level volatility, and helps investors to detect regime changes that often precede major market moves.
Credits: Idea suggested by m_chromatic Thanks a lot!
What It Measures
- VIX measures implied volatility of S&P 500 index options (cap-weighted, dominated by mega-cap stocks)
- VIXEQ measures implied volatility of equal-weighted S&P 500 constituents (reflects broader market volatility)
- The ratio between these two metrics reveals whether volatility is concentrated in mega-caps or dispersed across the broader market.
When VIXEQ rises faster than VIX (ratio > 1.0), it indicates that constituent stocks are experiencing higher volatility than the index itself. This divergence often signals:
- Increased market stress
- Breakdown in correlation
- Potential regime transitions
- Mean reversion opportunities
Five Market Regimes in the Indicator
The indicator uses adaptive thresholds based on rolling statistics to classify markets into five distinct regimes:
🔵 CONCENTRATION (Ratio < threshold): Mega-cap dominance, Low dispersion, Healthy market structure
🟢 NORMAL (Ratio near mean): Balanced volatility, Healthy market conditions, Standard risk environment
🟡 ELEVATED (Ratio moderately above mean), Early warning signal, Rising constituent stress, Watch for deterioration
🟠 DISPERSION (Ratio significantly above mean), Broad market stress, Elevated constituent volatility, Defensive positioning warranted
🔴 SYSTEMIC (Ratio > 1.5σ above mean), Crisis conditions, Extreme constituent stress, High mean reversion potential
The indicator includes z-score calculations to measure how extreme the current spread is relative to historical norms.
Recommended Timeframe
- Daily (1D): Optimal for most use cases - balances signal quality with responsiveness
- Weekly (1W): For macro positioning and long-term regime context
- 4-Hour: Not recommended - too noisy for structural regime analysis
Technical Notes
- Uses request.security() to fetch VIX and VIXEQ data
- Ratio is scaled by (ratio - 1) × 10 for chart visibility alongside spread
- Actual ratio values are displayed in the table and labels
- Adaptive thresholds recalculate on every bar based on rolling statistics
- All regime classifications update in real-time
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
Hedge Fund Manager at Maverick Capital | Wealth Educator | 20+ yrs investing | Stocks, ETFs & Crypto alerts | Join Henrique Wealth Academy for trade alerts & indicators → skool.com/be-limitless/
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
Hedge Fund Manager at Maverick Capital | Wealth Educator | 20+ yrs investing | Stocks, ETFs & Crypto alerts | Join Henrique Wealth Academy for trade alerts & indicators → skool.com/be-limitless/
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.